Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0998
Annualized Std Dev 0.2489
Annualized Sharpe (Rf=0%) 0.4009

Row

Daily Return Statistics

Close
Observations 5023.0000
NAs 1.0000
Minimum -0.1259
Quartile 1 -0.0062
Median 0.0011
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0077
Maximum 0.1125
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0157
Skewness 0.1107
Kurtosis 6.1818

Downside Risk

Close
Semi Deviation 0.0112
Gain Deviation 0.0113
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0156
Downside Deviation (Rf=0%) 0.0109
Downside Deviation (0%) 0.0109
Maximum Drawdown 0.6559
Historical VaR (95%) -0.0255
Historical ES (95%) -0.0371
Modified VaR (95%) -0.0228
Modified ES (95%) -0.0327
From Trough To Depth Length To Trough Recovery
2001-05-23 2002-10-09 2012-02-09 -0.6559 2692 341 2351
2020-02-20 2020-03-16 2020-06-05 -0.3018 75 18 57
2018-08-30 2018-12-24 2019-04-03 -0.2437 148 80 68
2001-03-26 2001-04-04 2001-04-18 -0.1893 14 6 8
2015-12-07 2016-02-09 2016-07-14 -0.1750 152 44 108

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA -1.4 3.3 1.4 3.2 1.6 1.4 -2.4 3.6 -0.3 -1.4 9.2
2002 -1.2 5.3 0.5 -0.9 -0.9 -4.8 -3.9 -0.9 4.3 3.3 -1 0.1 -0.5
2003 -1.4 2.1 -0.1 0.5 1.2 1.5 -0.6 0.9 1.7 0.2 1.1 -0.2 7
2004 0.9 1.2 1.6 -1.9 -0.4 -2.2 0.6 0.9 3.1 0.6 2.2 -0.3 6.4
2005 0.5 1 -0.6 0.8 1 0.2 0.5 -0.4 0.5 -0.1 1.9 -0.7 4.6
2006 0.1 2 -0.3 -0.8 1.9 -0.4 -1.5 0.2 -0.4 -0.8 -1.2 -0.1 -1.6
2007 0 -0.5 -0.1 0.3 0.1 -0.1 0.9 1.1 1.2 -1.5 -1.1 -1.3 -1.1
2008 1.6 -2.3 3.6 3.1 0.5 0.5 -0.8 -2.2 -1.6 0.8 -7.4 1.3 -3.4
2009 -2.2 -0.2 2.3 0.6 3.5 0.4 -0.2 -1.9 -2.8 -2.6 1.2 -1.1 -3.1
2010 1.4 1.6 -0.2 -2.3 -1.1 -0.4 -0.3 3 -0.2 0.2 2.1 -0.4 3.2
2011 1.9 -1.7 -0.1 0.2 -2.3 1.7 -0.5 -1.2 -2.7 -2.8 0.5 -0.4 -7.3
2012 0.9 0.6 -0.3 0.2 -2.9 3.2 -0.5 1 -0.1 1.9 -0.1 1.7 5.7
2013 1.1 0.3 -0.9 -1 -0.7 0.5 1.3 -0.6 1 0 0.4 0.7 2.1
2014 -0.5 -0.2 1.5 0.2 -0.1 1.3 -0.5 0.4 -1.8 1.9 -1.3 -1 -0.2
2015 -0.9 -0.4 -0.7 1 0.5 0.5 -0.3 -3.2 0 -0.3 1.2 -1.3 -4
2016 0.3 2.9 0.8 -0.3 -0.1 0.2 0.3 0.3 0.5 -0.8 -2.3 -1 0.8
2017 0.5 1.4 0 0.9 0.4 -0.2 0.4 -0.1 0.7 -0.1 -0.6 -0.6 2.9
2018 -0.3 -1.6 2.1 1.1 1.7 0 0.6 0.2 0.2 1.4 0.9 0.7 7.2
2019 0 0.9 1.5 -0.5 -1.6 1.4 -0.6 -0.1 -0.9 1 -0.4 0.2 0.8
2020 -1.6 0.8 -4.4 -3.1 0.6 1.4 1.7 2 1.6 -2.7 1 0.3 -2.8
2021 2.5 2.8 0.4 NA NA NA NA NA NA NA NA NA 5.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-03-19  53.4 SPY    117.  0.0203  -0.0062  -0.120   -0.127    -0.201       NA       NA <NA>     NA    NA       NA
2 2001-03-20  52.1 SPY    114. -0.0268  -0.0485  -0.124   -0.128    -0.222       NA       NA <NA>     NA    NA       NA
3 2001-03-21  53.5 SPY    112. -0.017   -0.0458  -0.126   -0.154    -0.248       NA       NA <NA>     NA    NA       NA
4 2001-03-22  55.2 SPY    111. -0.0102  -0.0557  -0.115   -0.145    -0.260       NA       NA <NA>     NA    NA       NA
5 2001-03-23  56.2 SPY    114.  0.0302  -0.0046  -0.0901  -0.0932   -0.249       NA       NA <NA>     NA    NA       NA
6 2001-03-26  55.2 SPY    116.  0.0128  -0.012   -0.0722  -0.088    -0.245       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart